Chinese Stocks from a Factor Lens

Chinese Stocks from a Factor Lens Seeking greener pastures for quant strategies August 2021. Reading Time: 10 Minutes. Author: Bill Yeskel, CFA SUMMARYForeign stock ownership is low in China and the market is dominated by retail investorsThis provides an opportunity...

Factor Olympics Q2 2021

Factor Olympics Q2 2021  And the winner is… July 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Q1 2021 factor rotation into Value and Size has reversedValue is the only factor with positive performance in 1H 2021Momentum has generated the...

Improving the Odds of Value Investing

Improving the Odds of Value Investing Tactical versus Strategic Allocations to Value May 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The stock market volatility, skewness, and yield curve influence the performance of the value factor Investors...

Factor Investing: The Truth Has Many Shades

Factor Investing: The Truth Has Many Shades Scientific investing unfortunately isn’t that scientific. April 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The data from Professor French has laid the foundation for factor investing However, over...

Factor Olympics Q1 2021

Factor Olympics Q1 2021  And the winner is… April 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Q1 2021 featured a major factor rotation Value & Size, the losers of previous years, are leading the scoreboard In contrast, Momentum, Quality,...